Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0066
Annualized Std Dev 0.1174
Annualized Sharpe (Rf=0%) -0.0559

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.0515
Quartile 1 -0.0032
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0033
Maximum 0.1071
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0002
Variance 0.0001
Stdev 0.0074
Skewness 0.2687
Kurtosis 13.1808

Downside Risk

Close
Semi Deviation 0.0053
Gain Deviation 0.0054
Loss Deviation 0.0057
Downside Deviation (MAR=210%) 0.0108
Downside Deviation (Rf=0%) 0.0053
Downside Deviation (0%) 0.0053
Maximum Drawdown 0.3947
Historical VaR (95%) -0.0106
Historical ES (95%) -0.0178
Modified VaR (95%) -0.0096
Modified ES (95%) -0.0096
From Trough To Depth Length To Trough Recovery
2002-10-10 2008-10-09 NA -0.3947 4643 1511 NA
1999-01-07 1999-12-30 2001-03-13 -0.1964 550 248 302
2001-08-24 2001-09-19 2001-10-03 -0.0728 24 14 10
2001-10-09 2001-10-25 2002-02-05 -0.0699 82 13 69
2002-02-06 2002-03-26 2002-04-30 -0.0631 58 34 24

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0 0 1.9 0 0 -0.9 0.9 -1 0 -1 0 2.2 2.1
2000 1.1 0 0 -1 1 2 0 1 1 1 -1 -0.9 4.1
2001 -0.1 0 1 -0.1 0.3 0.6 0.1 0 0.9 1.1 1 0.1 4.9
2002 0 0.4 -0.7 0.1 0.3 0.6 0.9 0.6 -0.6 0.2 -0.1 -0.4 1.4
2003 1.4 0 0.4 0.5 -0.4 1 2.3 0 1.2 1 0 0.3 8
2004 0.8 -1.3 -0.4 0.7 1 1.5 0 0.3 0 -0.3 -1.2 -0.1 0.9
2005 -0.7 0.4 1.1 0.3 0.4 0.6 0 0.6 1.4 -0.2 0 0.3 4.3
2006 0.9 0.2 1 -0.6 0.5 0.5 -0.2 0.3 0.3 0.3 1.3 -0.3 4.3
2007 0.3 -0.2 -0.2 0.2 -0.3 0 -1.4 0.5 0.2 0.5 2.5 0.4 2.5
2008 0.5 -1.1 1.4 -0.7 -0.2 0 0.9 0 3.1 1.5 -3.4 0.3 2.2
2009 0.5 0.5 1.3 0.2 0 -0.3 0 -0.5 -0.9 -0.2 1.6 1 3.2
2010 0.3 -0.5 -0.3 0.2 0.2 -0.1 0.4 0.1 -0.3 -0.6 0.1 0.9 0.4
2011 0 -0.9 0.3 0.3 -1.3 0.4 -0.1 0.7 -1.5 0.1 -0.4 -0.9 -3.2
2012 0.3 0.3 -1.3 0.1 -1.1 -1.4 0.1 0.1 -0.3 0.9 1.2 0.3 -0.9
2013 0.8 1 0.4 0.5 -0.5 0.4 -0.8 -0.2 -0.9 -0.4 -0.5 0.2 0.1
2014 -0.2 0 -0.5 0.3 -0.2 0.2 0 -0.3 0.2 0.5 0.3 0.2 0.5
2015 0.5 0.2 0.6 -0.2 -0.3 0.3 0.2 0.3 0.5 1.1 0.2 0.5 3.8
2016 0.3 -0.3 -0.5 -0.3 0.5 -0.3 -0.3 0 -0.3 0 -0.3 0.2 -1.3
2017 -0.3 -0.5 -0.3 0.3 0 1 0 0.8 0.2 0.2 -0.2 0.2 1.3
2018 -0.3 0.2 0 -0.2 -0.4 0.2 0.5 0 0 0.1 0 -0.9 -0.8
2019 0.7 0.5 -0.5 0 0.3 0 0.3 0.3 -0.2 0.3 0.3 0.7 2.9
2020 -0.5 -2.1 0.9 0.2 0.7 1 0 0.2 -0.8 0 0.2 0 -0.5
2021 -0.8 0 0.2 NA NA NA NA NA NA NA NA NA -0.6

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart